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RE: st: Black Scholes


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: Black Scholes
Date   Fri, 21 Jul 2006 22:18:33 +0100

for "Fisher" read "Fischer" 

Nick 
n.j.cox@durham.ac.uk 

Eric G. Wruck
 
> However, I would bet Joserra is asking about a method for 
> estimating the value of options as devised by Fisher Black 
> (now deceased) & Myron Scholes sometime in the 1970s.
> 
> So Joserra, you would be well advised to get a better handle 
> on the Black-Scholes formula & obtain some data.  If you have 
> the option prices & terms (strike price, time to maturity, 
> risk-free rate, dividend rate) then you should be able to get 
> an estimate of the stock volatility.  This would be the 
> volatility implied by the option price & other known or 
> estimated variables.  Once you have gotten your data into 
> Stata & struggled some with the inevitable difficulties, feel 
> free to write again with more detailed --as opposed to  
> open-ended-- questions.

Joserra Coco

> Does anybody know whether there is some command or code 
> for calculating
> implied volatilities in the Black Scholes model?. Thanks 
> for any info.

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